Akurasi : Jurnal Studi Akuntansi dan Keuangan
Vol 4 No 1 (2021): Akurasi: Jurnal Studi Akuntansi dan Keuangan, Juni 2021

Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

Ani Silvia (Universitas Muhammadiyah Prof. DR. Hamka)
Chikita Tiara Griska (Universitas Tridinanti Palembang)

Article Info

Publish Date
20 Jun 2021

Abstract

This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.

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Journal Info
Akurasi : Jurnal Studi Akuntansi dan Keuangan
Website

Abbrev

akurasi

Publisher

Universitas Mataram

Subject

Economics, Econometrics & Finance

Description

AKURASI Jurnal Studi Akuntansi dan Keuangan adalah jurnal ilmiah yang diterbitkan oleh Program Studi Magister Akuntansi Fakultas Ekonomi dan Bisnis Universitas Mataram. Jurnal terbit secara berkala dua kali setahun pada bulan Juni (periode Januari-Juni) dan Desember (periode Juli-Desember). Jurnal ...